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News media vs. FRED-MD for macroeconomic forecasting

Ellingsen, Jon; Larsen, Vegard H.; Thorsrud, Leif Anders
Working paper
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working_camp_08-2020.pdf (4.611Mb)
URI
https://hdl.handle.net/11250/2682897
Date
2020-10-08
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [95]
Abstract
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP, consumption and investment growth, our results suggest that the news data contains information not captured by the hard economic indicators, and that the news-based data are particularly informative for forecasting consumption developments.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;08/2020

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